DBRS Confirms Ratings on MCAP RMBS Issuer Corporation, Series 2014-1

DBRS Limited (DBRS) has today confirmed the following ratings on the outstanding notes issued by MCAP RMBS Issuer Corporation:

-- Mortgage Pass-Through Certificates, Series 2014-1, Class A at AAA (sf) (the Class A Notes)
-- Mortgage Pass-Through Certificates, Series 2014-1, Class IO at AAA (sf) (the Class IO Notes)
-- Mortgage Pass-Through Certificates, Series 2014-1, Class B at AA (sf) (the Class B Notes)
-- Mortgage Pass-Through Certificates, Series 2014-1, Class C at A (sf) (the Class C Notes)
-- Mortgage Pass-Through Certificates, Series 2014-1, Class D at BBB (sf) (the Class D Notes, together with the Class A Notes, the Class B Notes, the Class C Notes and the Class IO Notes, the Notes)

The confirmation is part of DBRS’s continued effort to provide timely credit rating opinions and increased transparency to market participants and is based on the following factors:

(1) The collateral is a diversified pool of first-lien, owner-occupied, conventional Canadian residential mortgages underwritten to prime borrowers with a maximum loan-to-value (LTV) of 80% at origination. As of March 31, 2017, the pool balance has amortized to $124.4 million and the weighted-average LTV is 62.8%.

(2) Performance over the last year has been strong and stable. Only one mortgage has defaulted to date, resulting in cumulative losses equivalent to three basis points of the initial pool balance.

(3) The pass-through structure has resulted in increased subordination to March 31, 2017, from the closing date as follows: to 8.02% from 5.00% for the Class A Notes, to 6.41% from 4.00% for the Class B Notes, to 4.79% from 3.00% for the Class C Notes and to 3.18% from 2.00% for the Class D Notes.

(4) The performance history and servicing capability of MCAP Financial Corporation and MCAP Service Corporation in the prime residential mortgage market.

(5) MCAP Financial Limited Partnership as the Seller and investment-grade-rated MCAP Commercial LP as the Performance Guarantor provide lifetime representations and warranties.

The performance and characteristics of the custodial pool and the Notes are available and updated each month in the Monthly Canadian ABS Report (see Related Research on the right of the screen).

Notes:
All figures are in Canadian dollars unless otherwise noted.

The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.

The principal methodologies are Master Canadian Structured Finance Surveillance Methodology, Rating Canadian Residential Mortgages, Home Equity Lines of Credit and Reverse Mortgages, and Legal Criteria for Canadian Structured Finance, which are available on dbrs.com under Methodologies.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.